Break Even Stop Not Working

[daven]

I am using the code below to test for price movement half-way to a profit target, and setting a new stoploss at the avg position price + (or minus for a short) 2 ticks. I set the stop loss value at the time the position is opened, not in the initialize section of code. But it isn't working. is there some limit on stop loss price change which is preventing this from working?

             //Long Break Even Stop
            if (Position.MarketPosition == MarketPosition.Long
                && Position.Quantity == 1
				&& Position.GetProfitLoss(Close[0], PerformanceUnit.Currency) >  Profit1 * 0.5)
            {
				SetStopLoss("", CalculationMode.Price, Position.AvgPrice + 2 * TickSize, false);

            }

            // Short Break Even Stop
            if (Position.MarketPosition == MarketPosition.Short
                && Position.Quantity == 1
				&& Position.GetProfitLoss(Close[0], PerformanceUnit.Currency) > Profit1 * 0.5)
            {
				SetStopLoss("", CalculationMode.Price, Position.AvgPrice - 2 * TickSize, false);

            }

Thanks ahead of time,
DaveN

[NinjaTrader_RyanM1]

Hi DaveN,

Set methods will use the last value set and submits an order that's triggered from the entry execution. Because Position.AvgPrice returns value of 0 when you're not in a position, your code will likely submit an invalid order.

You'll want to reset to an initial fixed value when flat, and then your custom one based on price will change the value for it right after the position update is received.

if (Position.MarketPosition == MarketPosition.Flat)
SetStopLoss(CalculationMode.Ticks, 20);

[daven]

Break Even Not Working Continued

I added the set stop when position flat as you supplied but it didn't change anything in my backtesting. I then looked at the code and I thought I had a problem mixing tick values with price values so I changed it to convert everything to price value. Still didn't make any difference. Here is what I added, and also how I changed the stop price to breakeven, but when I look at the output of trades after testing, I either stop out at full stop, close at profit, or close on an exit at close basis. I never see a break even stop out.
Here's the code:

			if (Position.MarketPosition == MarketPosition.Flat)
				SetStopLoss(CalculationMode.Ticks, Stop);
			
			double brk_even = Profit1 * 0.5 * TickSize;

            if (Position.MarketPosition == MarketPosition.Long
                && Position.Quantity == 1
				&& Position.GetProfitLoss(Close[0], PerformanceUnit.Currency) >  brk_even)
            {
				SetStopLoss("", CalculationMode.Price, Position.AvgPrice + brk_even , false);
            }

            // Short Break Even Stop
            if (Position.MarketPosition == MarketPosition.Short
                && Position.Quantity == 1
				&& Position.GetProfitLoss(Close[0], PerformanceUnit.Currency) > brk_even)
            {
				SetStopLoss("", CalculationMode.Price, Position.AvgPrice - brk_even , false);
            }

[NinjaTrader_RyanM1]

The best way to evaluate that this is doing what you expect is in real time. You can use either simulated data feed or market replay to simulate this. In a backtest you just don't get the tick by tick changes in price. If the initial stop loss can be filled (even on the entry bar) then it will.

There is also a sample break-even stop loss strategy available here which you could use for ideas:

http://www.ninjatrader.com/support/forum/showthread.php?t=3222

[daven]

I reconfigured my code using the code from the SamplePriceModification example and nothing changed. Out of curiosity I tested the sample code. I never got a break-even stop out of it. either profit, full stop, or trade close. Are you sure it works, but it doesn't appear to on backtesting?
DaveN

[NinjaTrader_RyanM1]

Yes, it works here. Have you tried with a simulated data feed, so you can use trend slider to force the profit trigger and then see the movement? Have you tried printing all values used in the modification condition? Are there any that aren't what you expect?

If you want to do this in a backtest, it requires different technique than SetStopLoss(). You can use ExitLongStop(), ExitShortStop(), submitting to a smaller series. To get the same timing so they're submitted right after the entry order: Use the advanced handler OnExecution() as a trigger to submit your exit orders. To get a finer granularity, submit these orders to a smaller secondary series.